A reliable way to spoil a market-beating investment strategy is to publish an academic paper about it, according to research by David McLean, a visiting professor at MIT Sloan School of Management.

Prof McLean and Jeffrey Pontiff of Boston College’s Carroll School examined 82 strategies that were shown to predict stock returns in 68 papers published in finance, accounting and economics journals*. They found that once these papers were published, the average strategy’s return fell by more than 30 per cent. This may be due to these papers attracting the notice of sophisticated quantitative investors who trade on a given strategy, which corrects the market mispricing that made it profitable in the first place. Prof McLean discusses his research:

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